The problem of posterior regret Γ-minimax estimation under LINEX loss function is considered. A general form of posterior regret Γ-minimax estimators is presented and it is applied to a normal model with two classes of priors. A situation when the posterior regret Γ-minimax estimator, the most stable estimator and the conditional Γ-minimax estimator coincide is presented.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am29-1-2,
author = {Agata Boraty\'nska},
title = {Posterior regret $\Gamma$-minimax estimation in a normal model with asymmetric loss function},
journal = {Applicationes Mathematicae},
volume = {29},
year = {2002},
pages = {7-13},
zbl = {1053.62015},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am29-1-2}
}
Agata Boratyńska. Posterior regret Γ-minimax estimation in a normal model with asymmetric loss function. Applicationes Mathematicae, Tome 29 (2002) pp. 7-13. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am29-1-2/